Those are common mode filters/inductors/chokes. They suppress common mode noise created by switching power supplies, and are part of FCC requirements for noise filtering, along with X and Y series capacitors.
They have ferrite cores and generally only suppress high frequencies above audio range.
In more serious filters you would also have 2 single mode (2 wire) filters for noise not common to both hot and neutral, or two hot lines, either 120 or 180 degrees out of phase, depending on the power source.
Just to be clear, these are filters, not transformers.
A snippet of an article for more details:
Common Mode Choke
The impedance of an inductor is proportional to its
inductance and the frequency of the signal passing through it.
Inductors, therefore, can act like low-pass filters, that is they
allow low frequency signals to pass through them, while they block
higher frequency signals. A common mode choke is a special type of
filter with two inductor windings on the same core. In order to
understand common mode chokes, it is important to first understand
what common mode means.
During normal operation of any circuit (such as a
switch-mode power supply) connected to the AC Mains, AC current flows
in through the AC Line and out through the AC neutral. This is called
Normal Mode Current (or Differential Mode Current.)
There are other noise currents generated in most
circuits that tend to be higher in frequency. These currents can be
conducted out the AC Mains in the form of noise. This is called
Common Mode Noise. The current flows out on both the AC Line and AC
neutral, hence the term Common Mode. It is this noise that a Common
Mode Choke seeks to suppress.
How does a common mode choke work?
A common mode choke includes a magnetic core and two windings, making
it a four-terminal device. The two windings have the same number of
turns and are wound in opposite directions in a mirror configuration.
In this configuration, normal mode current flows into the circuit
through one of the windings, and out through the other. The direction
of current in each winding combined with the mirror winding
configuration means the flux generated by each winding cancels out the
flux generated by the other winding. Thus the common mode choke
presents very low impedance to normal mode currents.
For common mode noise, however, the flux generated by the current in
each winding is additive, causing the choke to present a very high
impedance to common mode currents.
As stated above, the impedance of the common mode choke is
proportional to the frequency of the current. So determining the
required inductance of the choke depends on the lowest frequency of
common mode noise the designer is trying to suppress.
The wire for a common mode choke must be larger enough in diameter to
handle the Normal Mode current without overheating.
This is quoted from CET Technology.com